No Arbitrage SVI (Q5065089)

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scientific article; zbMATH DE number 7493053
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No Arbitrage SVI
scientific article; zbMATH DE number 7493053

    Statements

    title
    No Arbitrage SVI (English)
    0 references
    DOI
    10.1137/20M1351060
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    author
    Claude Martini
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    Arianna Mingone
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    publication date
    18 March 2022
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    zbMATH DE Number
    7493053
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    zbMATH Keywords
    implied volatility
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    volatility smile
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    calibration
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    SVI
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    arbitrage-free parametrization
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    arXiv ID
    2005.03340
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    OpenAlex ID
    W3023887377
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